多媒体课件_金融市场学(双语)

Positively sloped yield curve
Normal yield curve
Steep yield curve
Inverted yield curve
Flat yield curve
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Chapter 11 The Term Structure of Interest Rates

Forward Rates
• There are two elements to the forward rate. The first is when in the future the rate begins.
• The second is the length of time for the rate. For example, the twoyear forward rate three years from now means a rate three years from now for a length of two years. The notation used for a forward rate, f, will have two subscripts-one before f and one after f as shown below:
Financial Markets and Institutions
Chapter 11 The Term Structure of Interest Rates
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Chapter 11 The Term Structure of Interest Rates

Learning Objectives
Term structure might be normal, inverted, humped, or flat
Ignores price risk and reinvestment risk
Interpretations include broad, local and return-to-maturity
horizon:
(1) the uncertainty about the price of the bond at the end of the
investment horizon, called the price risk, and (2) the uncertainty about the rate at which the proceeds from a bond that matures prior to the maturity date can be reinvested until the maturity date, called the reinvestment risk.
Pure Expectations Theory
Liquidity Theory
Preferred Habitat Theory
Market Segmentation Theory
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Figure 11-3 depicts the relationship between these three theories. (P.231) Expectations Theory Market Segmentation Theory
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Chapter 11 The Term Structure of Interest Rates

Risks associated with bond investment
The theory neglects the risks inherent in investing in bonds. Two risks cause uncertainty about the return over some investment
How can you take advantage of these rates to earn a riskless profit?
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Chapter 11 The Term Structure of Interest Rates

Historical Shapes of Yield Curves
t
(1 zmt ) fm m ( 1 z ) m
m t
1/ t
1
m: when the forward rate begins how long from now the forward rate begins
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Chapter 11 The Term Structure of Interest Rates
t
fm
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Chapter 11 The Term Structure of Interest Rates

Forward Rates
• It can be demonstrated that the formula to compute any forward rate is
t: length of time the forward rate applies
Pure Expectations Theory Three Interpretations Broadest interpretation Narrowest interpretation (local expectations) Return-to-maturity expions Theory Liquidity Theory

Forward Rate as a Hedgeable Rate • Forward rates do not predict future interest rates • Forward rates indicate how an investor’s expectations must differ from the market consensus in order to make the correct decision
A. Buy $1 of one-year bond, and when it matures, buy another one-year bond with your money.
B. Buy $1 of two-year bond and hold it.
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Chapter 11 The Term Structure of Interest Rates
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Review

Theoretical Spot Rate Curve
• In general, any bond can be viewed as a package of zerocoupon instruments.
• Theoretical value of a bond is equal to the present value of
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Chapter 11 The Term Structure of Interest Rates

Pure Expectations Theory
To illustrate what this means, consider two alternative investment strategies for a two-year time horizon.
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Chapter 11 The Term Structure of Interest Rates

Pure Expectations Theory
Yields on different maturities are based only on expectations
of future short-term rates
Expectations Theory and Shape of the Yield Curve – Figure 11-1
a rising term structure, must indicate that the market expects short-term rates to rise throughout the relevant future.
its periodic cash flows discounted at the corresponding
theoretical spot rate for each period.
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Chapter 11 The Term Structure of Interest Rates
Preferred Habitat Theory
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Chapter 11 The Term Structure of Interest Rates

Pure Expectations Theory
According to the pure expectation theory, the forward rates
a falling term structure must reflect an expectation that future short rates will decline steadily
a flat term structure reflects an expectation that future short-term rates will be mostly constant

Determinants of the Shape of the Term Structure